University of Surrey

Test tubes in the lab Research in the ATI Dance Research

Predictive density and conditional confidence interval accuracy tests

Corradi, V and Swanson, NR (2006) Predictive density and conditional confidence interval accuracy tests Journal of Econometrics, 135 (1-2). pp. 187-228.

Full text not available from this repository.


This paper outlines testing procedures for assessing the relative out-of-sample predictive accuracy of multiple conditional distribution models. The tests that are discussed are based on either the comparison of entire conditional distributions or the comparison of predictive confidence intervals. We also briefly survey existing related methods in the area of predictive density evaluation, including methods based on the probability integral transform and the Kullback-Leibler Information Criterion. The procedures proposed in this paper are similar in many ways to [Andrews', 1997. A conditional Kolmogorov test. Econometrica 65, 1097-1128.] conditional Kolmogorov test and to [White's, 2000. A reality check for data snooping. Econometrica 68, 1097-1126.] reality check. In particular, a predictive density test is outlined that involves comparing square (approximation) errors associated with models i, i = 1, ..., n, by constructing weighted averages over U of E ((Fi (u | Zt, θi†) - F0 (u | Zt, θ0))2), where F0 (· | ·) and Fi (· | ·) are true and model-i distributions, u ∈ U, and U is a possibly unbounded set on the real line. A conditional confidence interval version of this test is also outlined, and appropriate bootstrap procedures for obtaining critical values when predictions used in the formation of the test statistics are obtained via rolling and recursive estimation schemes are developed. An empirical illustration comparing alternative predictive models for U.S. inflation is given for the predictive confidence interval test. © 2005 Elsevier B.V. All rights reserved.

Item Type: Article
Divisions : Surrey research (other units)
Authors :
Swanson, NR
Date : 1 November 2006
DOI : 10.1016/j.jeconom.2005.07.026
Depositing User : Symplectic Elements
Date Deposited : 16 May 2017 15:27
Last Modified : 24 Jan 2020 14:41

Actions (login required)

View Item View Item


Downloads per month over past year

Information about this web site

© The University of Surrey, Guildford, Surrey, GU2 7XH, United Kingdom.
+44 (0)1483 300800